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Applied Financial Economics Volume 20, 2010 - Issue 3
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Original Articles

An empirical analysis of calendar anomalies in the Malaysian stock market

Shiok Ye Lim School of Science and Technology, Universiti Malaysia Sabah, Kota Kinabalu, Malaysia
,
Chong Mun Ho School of Science and Technology, Universiti Malaysia Sabah, Kota Kinabalu, Malaysia
&
Brian Dollery School of Economics, University of New England, UNE, Armidale NSW 2351, Armidale, NSW 2351, AustraliaCorrespondence[email protected]
Pages 255-264 | Published online: 20 Nov 2009

Citations (14)

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Read on this site (3)

Cedric L. Mbanga. (2019) The day-of-the-week pattern of price clustering in Bitcoin. Applied Economics Letters 26:10, pages 807-811.
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Qaiser Munir & Kok Sook Ching. (2019) Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model. Communications in Statistics - Theory and Methods 48:6, pages 1377-1400.
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Susan Sunila Sharma & Paresh Kumar Narayan. (2012) Firm heterogeneity and calendar anomalies. Applied Financial Economics 22:23, pages 1931-1949.
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Articles from other publishers (11)

Norashikin Adam & Noor Zahirah Mohd Sidek. (2022) Calendar Anomalies and the Islamic Stock Market Returns: Evidences on day of the week effect. Environment-Behaviour Proceedings Journal 7:SI9, pages 3-8.
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Murat Isiker, Umut Ugurlu & Oktay Tas. 2021. Recent Applications of Financial Risk Modelling and Portfolio Management. Recent Applications of Financial Risk Modelling and Portfolio Management 47 67 .
Kamrul Hassan, Ariful Hoque, Muammer Wali & Dominic Gasbarro. (2020) Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS. Energy Economics 92, pages 104985.
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Sobia Quayyoum, Mushtaq Hussain Khan, Syed Zulfiqar Ali Shah, Biagio Simonetti & Michela Matarazzo. (2019) Seasonality in crude oil returns. Soft Computing 24:18, pages 13547-13556.
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Venus Khim-Sen Liew & Racquel Rowland. (2016) The effect of Malaysia general election on stock market returns. SpringerPlus 5:1.
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Christoph S. Weber & Philipp Nickol. (2016) More on Calendar Effects on Islamic Stock Markets. Review of Middle East Economics and Finance 12:1.
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Gil Cohen. (2014) Why don’t you trade only four days a year? An empirical study into the abnormal returns of quarters first trading day. Economics Letters 124:3, pages 335-337.
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Samveg A. Patel & M. Mallikarjun. (2014) Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market. DECISION 41:3, pages 327-337.
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Tamir Levy & Joseph Yagil. (2012) The week-of-the-year effect: Evidence from around the globe. Journal of Banking & Finance 36:7, pages 1963-1974.
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Josep García Blandón. 2011. The Impact of the Global Financial Crisis on Emerging Financial Markets. The Impact of the Global Financial Crisis on Emerging Financial Markets 405 422 .
Aristeidis Samitas & Evangelos Vasileiou. (2013) Does the Financial Crisis Influence the Day of the Week Effect? Evidence from the Greek Stock Market. SSRN Electronic Journal.
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